Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0138
Annualized Std Dev 0.2783
Annualized Sharpe (Rf=0%) -0.0495

Row

Daily Return Statistics

Close
Observations 4608.0000
NAs 1.0000
Minimum -0.2727
Quartile 1 -0.0037
Median 0.0005
Arithmetic Mean 0.0001
Geometric Mean -0.0001
Quartile 3 0.0044
Maximum 0.4356
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0175
Skewness 2.5464
Kurtosis 134.0136

Downside Risk

Close
Semi Deviation 0.0121
Gain Deviation 0.0160
Loss Deviation 0.0160
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.7426
Historical VaR (95%) -0.0155
Historical ES (95%) -0.0376
Modified VaR (95%) NA
Modified ES (95%) -0.6428
From Trough To Depth Length To Trough Recovery
2004-04-02 2009-03-09 NA -0.7426 4271 1241 NA
2003-06-18 2003-08-25 2004-01-13 -0.0834 145 48 97
2003-02-20 2003-03-25 2003-05-29 -0.0631 69 24 45
2004-01-14 2004-02-24 2004-03-09 -0.0376 38 28 10
2003-01-15 2003-01-22 2003-02-19 -0.0146 24 5 19

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA NA 0 0 0
2003 0.5 0.4 0.8 0.1 -0.2 0.7 -0.3 0.2 0.4 0 0.4 0.2 3.1
2004 0 0.2 0 0.2 -0.3 0.9 0.5 -0.5 -0.2 0.4 -0.1 0.4 1.4
2005 -0.3 1.6 0 -0.4 0.4 0.5 0.6 -0.3 0.2 0 0.7 1.2 4.2
2006 0.2 0.3 -0.6 0.2 0.5 0.3 0.5 0.5 -0.3 0.2 -0.4 0.7 2
2007 0.1 -0.1 -0.3 0.4 -0.4 0.2 1.5 0.9 0.4 -0.8 3 -0.6 4.3
2008 0.5 -1.1 3.9 0.4 -0.1 -1.2 1.6 1.6 7.3 4.8 -2.3 -1 15.1
2009 -1.4 -3 -2.1 2.7 1.7 1.1 1.7 -1.4 -1 -1.3 1.4 0.4 -1.4
2010 2 1 1 -0.1 0.7 0.4 0.3 0.4 0 0.1 0.6 0.9 7.4
2011 0.7 -0.5 0.1 0.2 -0.3 1.2 2.5 -1 -3.7 -1.4 -0.7 -0.1 -3.1
2012 -0.1 0.6 0.2 -0.5 -0.6 0.2 0.9 -0.2 0 0.6 -0.2 1.6 2.6
2013 -0.4 0.1 -0.8 0.1 -3 0.3 -1.6 -0.3 0 -0.8 0.3 -0.3 -6.3
2014 0.1 -0.6 0.5 0.7 0.5 -0.3 -0.3 0.6 -0.3 0.2 -1.3 -0.6 -0.8
2015 0.4 0.3 0 -0.4 -0.1 0.1 0.2 -0.1 -0.8 0.1 0.2 -0.1 -0.3
2016 0.3 -0.4 -2 0.4 0.6 -0.2 0.1 0.3 0.8 -0.8 -1.7 0.5 -2.2
2017 0.2 -0.5 0.7 0 0 -0.1 0.1 0.5 0.5 0.3 0.2 0.3 2.2
2018 -0.6 0 1.1 0.3 0.7 0.6 0 0.2 -0.6 0.4 0 0.3 2.4
2019 0 0.1 0.9 0.5 0 -0.7 -0.1 -0.6 0.4 -0.5 0.1 0.2 0.5
2020 0 -3.3 -10.8 -3.1 2.2 -0.4 0.5 0 0.7 -0.3 0.3 1.2 -12.9
2021 0.9 1.4 0.5 NA NA NA NA NA NA NA NA NA 2.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-11-26  25.0 SPY    91.7 -0.019   0.0148    0.0233  -0.0043   -0.206   -0.356       NA <NA>     NA    NA       NA
2 2002-11-27  25   SPY    94.3  0.0281  0.0207    0.0645   0.0232   -0.168   -0.332       NA <NA>     NA    NA       NA
3 2002-11-29  25   SPY    94.0 -0.0032 -0.00120   0.0509   0.024    -0.182   -0.338       NA <NA>     NA    NA       NA
4 2002-12-02  25   SPY    94.1  0.0016  0.0076    0.0634   0.0663   -0.175   -0.334       NA <NA>     NA    NA       NA
5 2002-12-03  25   SPY    92.9 -0.0134 -0.0065    0.0288   0.0372   -0.181   -0.341       NA <NA>     NA    NA       NA
6 2002-12-04  25   SPY    92.4 -0.0045  0.0082    0.0145   0.0413   -0.198   -0.337       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart